Urbanowicz, Krzysztof; Richmond, Peter; Hołyst, Janusz A. - In: Physica A: Statistical Mechanics and its Applications 384 (2007) 2, pp. 468-474
We propose a route for the evaluation of risk based on a transformation of the covariance matrix. The approach uses a ‘potential’ or ‘objective’ function. This allows us to rescale data from different assets (or sources) such that each data set then has similar statistical properties in...